Khalaf, Lynda; Bilodeau, Jean-Franois; Saphores, Jean-Daniel - Society for Computational Economics - SCE - 2000
In this paper, we propose to use the Monte-Carlo (MC) test technique to obtain valid p-values when investigating the presence of discontinuities in jump-diffusion models. Indeed, the LR statistic used to test for discontinuities has typically a complex non-standard distribution, for at least two...